I have a uk spec rhd 535d delivered May2011 with xenon headligths as part of visibility pack.

The car does not appear to have a manual switch to change the headlights over to lhd. This is backed up in the manual that comfirms that the headlights automatically adjust. [there was apprarently a change made eariler in 2011 to remove the manual switch]

The problem is that the car needs to be temporarily registered in Denmark (Nato export), and therefore needs to pass a Danish MOT.

The car currently fails the headlight testing.

At the moment my only option seems to be a complete replacement of both headlight units at £1000+ each.

go to a Danish dealer. Persuade them to swap the xenons out of a car on the used car lot/management car. Do MOT, change them back straight afterwards.

Probably involves more work than that nowadays cos the clusters are identical on both RHD & LHD cars. The thing that controls the beams is the control unit so probably have to swap that instead of the clusters.
Probably the safest way is to swap the xenons for halogens just for the test, but need to ascertain whether the electrical connections match on both types of lights.

The car currently fails the headlight testing.
At the moment my only option seems to be a complete replacement of both headlight units at £1000+ each.

Has it been explained to you by the tester why the car currently fails the headlight testing? The information I received from BMW GB states that "the xenon technology incorporated into your vehicle's headlight system uses flat beam technology. To make sure that vehicles driving towards you or ahead of you are not dazzled by this stronger light, BMW xenon headlights incorporate a projection lens which directs the light beam straight to the road."

In other words the headlights are now the same for both LHD and RHD cars. Given that if your car is actually failing some test presumably there is something else wrong? Or is it the case that your tester has not actually tested anything but simply 'assumes' that it will fail because he can not find any manual adjustment?